For Windows, I suggest this freeware, 7-zip:
http://www.7-zip.org/
It can do 7z, zip, gzip, bzip2, Z and tar formats and more.

Sometimes I use this to make Windows compatible .zip files. The difference is that this thing compresses a lot more and is faster!

Update: this thing can make tar files, .GZ of tar files, .zip archives. The U/I is a bit quirky but this thing works well to be best of my experience. There is a command line I/F that can do this too!